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The band was an invention of the Finnish film director Aki Kaurismäki, Sakke Järvenpää and Mato Valtonen, members of the Finnish pop-punk band Sleepy Sleepers. The band was conceived in a bar in 1986 as a joke on the waning power of the Soviet Union. Jarvenpää and Valtonen expressed their wishes that Kaurismäki would direct their first music video, which resulted in the short film "Rocky VI" (1986). After two further short films, "Thru the Wire" (1987) and "L.A. Woman" (1988), Kaurismäki decided to direct a feature film about them, Leningrad Cowboys Go America (1989).[1][2] In these films they are joined by Nicky Tesco, founding member of the UK punk rock band The Members.

After the film, the band took on a life of its own, recording music, making videos and giving concerts. The band appeared in two other Aki Kaurismäki films, the Leningrad Cowboys Meet Moses (1994) and the Total Balalaika Show (1994), which is a film of a concert performed by the band and the full 160-member Alexandrov ensemble in Helsinki, Finland in June 1993. Kaurismäki also wrote and directed two videos featuring the band: their cover of the 60's folk standard "Those Were The Days" (1992) and "These Boots" (1993).

In 1994, the band appeared together with 70 members of the Alexandrov ensemble at the 11th annual MTV Music Awards, at the Radio City Music Hall in New York, where they sang the Lynyrd Skynyrd classic Sweet Home Alabama. The show was seen by an estimated 250 million people worldwide. That same year, the band and ensemble again joined forces for the "Nokia Balalaika Show", a concert held in Berlin. In 1998 they featured in the film L.A. Without a Map.

In 1996 the Leningrad Cowboys granted the Swiss-Italian singer-songwriterDavid Buzzi permission to write lyrics for the instrumental "Ten Lost Gringos" from the Go America soundtrack. This song was released in Italy and Switzerland in 1998 on the album "Il Diavolo Rosso: Romaneschi" with the title "Gringo".

Ten years after the Total Balalaika Show, on August 23, 2003, the Leningrad Cowboys and the Alexandrov ensemble returned to the Senate Square in Helsinki with UMO and various international performers for the spectacular Global Balalaika Show, was released on DVD directed by Timo Suomi, on November 21, 2003.

One more show with the Russian military band was played in Finland on November 22, 2008. A newly released publication, Bio-Book PRAVDA – The Truth About The Leningrad Cowboys also appeared. Promotional lines included: "Here it is finally, The Leningrad Cowboys book "Pravda"!"

December 2012 saw the release of an animated Christmas video featuring Dog'Y'Dog, a dog resembling the dog from the "You're My Heart, You're My Soul" video. The video also featured a cover of "Christmas in Hollis" from an upcoming Leningrad Cowboys album for Christmas 2013.[3][4][5]

Red X-Mas will be a tour of Finland by the Leningrad Cowboys and the Russian Air Force Choir from 27 November to 7 December 2013, featuring over 60 performers.[6][7]

In co-production with Anima Vitae, Leningrad cowboys is producing an animated feature Dog'y'dog featuring the half-Siberian/half-Mexican dog (from their "Christmas in Hollis" music video) traveling from Siberia to Mexica via the USA.[8]

Dog 'y' Dog also appeared in the Bonehead game for Android developed by Leningrad Cowboys Studios and Fingersoft and released 13 May 2014.[9][10]